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Model misspecification analysis for bond options and Markovian hedging strategies
Bossy, Mireille; Gibson, Rajna; Lhabitant, Francois-Serge; … - In: Review of derivatives research 9 (2006) 2, pp. 109-136
Persistent link: https://www.econbiz.de/10007795986
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Risque associé au contrat d'assurance-vie pour la compagnie d'assurance
Berthelot, Christophe; Bossy, Mireille; Pistre, Nathalie - In: Economie & prévision : EP (2001) 149, pp. 73-86
Persistent link: https://www.econbiz.de/10007968817
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Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
Talay, Denis; Zheng, Ziyu - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 187-200
Persistent link: https://www.econbiz.de/10008215725
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Worst case model risk management
Talay, Denis; Zheng, Ziyu - In: Finance and stochastics 6 (2002) 4, pp. 517
Persistent link: https://www.econbiz.de/10008216163
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Technical analysis compared to mathematical models based methods under parameters mis-specification
Blanchet-Scalliet, Christophette; Diop, Awa; Gibson, Rajna - In: Journal of banking & finance 31 (2007) 5, pp. 1351-1374
Persistent link: https://www.econbiz.de/10007724984
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Application de la statistique des diffusions à un modèle de taux d'intérêt
Fournié, Éric; Talay, Denis - In: Finance : revue de l'Association Française de Finance 12 (1991) 2, pp. 79-111
Persistent link: https://www.econbiz.de/10009918760